Some properties of modified integrated squared error estimators for the stable laws
作者:
A. S. Paulson,
T. A. Delehanty,
期刊:
Communications in Statistics - Simulation and Computation
(Taylor Available online 1984)
卷期:
Volume 13,
issue 3
页码: 337-365
ISSN:0361-0918
年代: 1984
DOI:10.1080/03610918408812380
出版商: Marcel Dekker, Inc.
关键词: stable laws;Fourier estimation;empirical characteristic function;efficiency;robustness
数据来源: Taylor
摘要:
The estimation procedure of Paulson, Holcomb and Leitch (1975) for the parameters of the stable laws is shown to be similar in spirit to the modified X2minimum procedure. This observation suggests that a class of modified integrated squared error procedures may be developed for the stable laws as well as much more generally. For the stable case, some influence curves, asymptotic covariances, and efficiencies are given, and the robustness of maximum likelihood estimators is discussed.
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